#2007-010B "Measuring the Information Content of the Beige Book: A Mixed Data Sampling Approach"
by Michelle T. Armesto, Rubén Hernández-Murillo, Michael T. Owyang, and Jeremy M. Piger
March 2007
Revised May 2008

Studies of the predictive ability of the Federal Reserve's Beige Book, an anecdotal measure of regional economic conditions, for aggregate output and employment have proven inconclusive. More...

FORTHCOMING: Journal of Money, Credit, and Banking

#2007-003D "A State-Level Analysis of the Great Moderation"
by Michael T. Owyang, Jeremy M. Piger, and Howard J. Wall
February 2007
Revised May 2008

A number of studies have documented a reduction in aggregate macroeconomic volatility beginning in the early 1980s, i.e., the “Great Moderation.” More...

PUBLISHED: Regional Science and Urban Economics, November 2008, 38(6), pp. 578-89

#2006-056C "The Economic Performance of Cities: A Markov-Switching Approach"
by Michael T. Owyang, Jeremy M. Piger, Howard J. Wall, and Christopher H. Wheeler
October 2006
Revised January 2007

This paper examines the determinants of employment growth in metro areas. More...

PUBLISHED: Journal of Urban Economics, November 2008, 64(3), pp. 538-50

#2006-013B "Inflation: Do Expectations Trump the Gap?"
by Jeremy M. Piger, and Robert H. Rasche
March 2006
Revised July 2006

We measure the relative contribution of the deviation of real activity from its equilibrium (the gap), “supply shock” variables, and long-horizon inflation forecasts for explaining the U.S. inflation rate in the post-war period. More...

FORTHCOMING: International Journal of Central Banking

#2006-005A "Beyond the Numbers: An Analysis of Optimistic and Pessimistic Language in Earnings Press Releases"
by Angela K. Davis, Jeremy M. Piger, and Lisa M. Sedor
January 2006

In this paper, we examine whether managers use optimistic and pessimistic language in earnings press releases to provide information about expected future firm performance to the market, and whether the market responds to optimistic and pessimistic language usage in earnings press releases after controlling for the earnings surprise and other factors likely to influence the market's response to the earnings announcement. We use textual-analysis software to measure levels of optimistic and pessimistic language for a sample of approximately 24,000 earnings press releases issued between 1998 and 2003. More...

#2005-053A "The 2001 Recession and the States of the Eighth Federal Reserve District"
by Michael T. Owyang, Jeremy M. Piger, and Howard J. Wall
June 2005

This paper examines and compares the recent business cycle experiences of the seven states that lie partly or wholly within the Eighth Federal Reserve District (Arkansas, Illinois, Indiana, Kentucky, Mississippi, Missouri, and Tennessee). More...

PUBLISHED: Federal Reserve Bank of St. Louis Regional Economic Development, October 2005, 1(1), pp. 3-16

#2005-021A "A Comparison of the Real-Time Performance of Business Cycle Dating Methods"
by Marcelle Chauvet, and Jeremy M. Piger
March 2005

This paper evaluates the ability of formal rules to establish U.S. business cycle turning point dates in real time. We consider two approaches, a nonparametric algorithm and a parametric Markov-switching dynamic-factor model. More...

#2004-032B "The Importance of Nonlinearity in Reproducing Business Cycle Features"
by James Morley, and Jeremy M. Piger
November 2004
Revised May 2005

This paper considers the ability of simulated data from linear and nonlinear time-series models to reproduce features in U.S. real GDP data related to business cycle phases. We focus our analysis on a number of linear ARIMA models and nonlinear Markov-switching models. More...

PUBLISHED: in C. Milas, P. Rothman, and D. van Dijk (eds.), Nonlinear Time Series Analysis of Business Cycles, Elsevier Science, Amsterdam, 2006

#2004-014D "A Bayesian Approach to Counterfactual Analysis of Structural Change"
by Chang-Jin Kim, James Morley, and Jeremy M. Piger
July 2004
Revised June 2006

In this paper, we develop a Bayesian approach to counterfactual analysis of structural change. Contrary to previous analysis based on classical point estimates, this approach provides a straightforward measure of estimation uncertainty for the counterfactual quantity of interest. More...

#2004-006D "A Steady-State Approach to Trend/Cycle Decomposition of Regime-Switching Processes"
by James Morley, and Jeremy M. Piger
March 2004
Revised June 2005

In this paper, we present a new approach to trend/cycle decomposition under the assumption that the trend is the permanent component and the cycle is the transitory component of an integrated time series. The permanent component is defined as the steady-state level of the series, a definition that has exploitable forecasting implications useful for identification. We operationalize the steady-state approach for regime- switching processes and we use generated data from such processes to demonstrate the advantages of the steady-state approach over alternative approaches to trend/cycle decomposition. More...